Estimation of flexible fuzzy GARCH models for conditional density estimation

DOI10.1016/J.INS.2014.01.021zbMATH Open1343.62051OpenAlexW2025637001MaRDI QIDQ2629962FDOQ2629962

Authors: Rui Jorge Almeida, Nalan Baştürk, Uzay Kaymak, João Miguel Da Costa Sousa 

Publication date: 8 July 2016

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1765/40785

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zbMATH Keywords

conditional density estimationvolatility forecastinglinguistic descriptionfuzzy GARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and fuzziness (62M86)

Cites Work

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Cited In (6)

• Forecasts of volatility models: fuzzy estimation approach
• Kurtosis of fuzzy coefficient GARCH models
• A parallel fuzzy GMM-algorithm for approximate VGARCH-modeling with a multi-modal discontinuous merit function
• Volatility GARCH models with the ordered weighted average (OWA) operators
• Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
• Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing

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